Author Topic: Slippage expectancy in automated strategy  (Read 6032 times)

Curtis C

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Slippage expectancy in automated strategy
« on: May 25, 2014, 09:26:55 pm »
What is reasonable if the trades are being conducted by Lightspeed?

braddoubleu

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Re: Slippage expectancy in automated strategy
« Reply #1 on: June 14, 2014, 10:42:23 am »
A general rule of thumb is 3 cents but it depends on the strategy you are running and the order type being placed. 

W!CK

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Re: Slippage expectancy in automated strategy
« Reply #2 on: August 26, 2014, 06:11:16 pm »
As we all know, using market orders can expose us to large spreads and drastically reduce performance.

In order to maximize the chance of getting filled, without getting gouged excessively on spread, pick an amount you are
comfortable with.  Typically, If I think I've filtered enough to ensure liquid stocks (who can have large spreads from time to time
in fast markets) I will use a value range of anywhere between -.05 to -.10. ( negative is inside the spread, positive is outside )

This will result in many more fills as opposed to an offset of 0.

Best,

W!CK

« Last Edit: August 26, 2014, 06:12:48 pm by W!CK »

radhi258

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Re: Slippage expectancy in automated strategy
« Reply #3 on: August 26, 2014, 06:52:46 pm »
Thank you for the Reply !!

So... The inside the spread ensure that the stock has more liquidity than the outside the spread ? Have you found the issue when trying to sell the stocks which has low average volume (Shares # >200 on automatic trading strategies)?



W!CK

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Re: Slippage expectancy in automated strategy
« Reply #4 on: August 26, 2014, 08:55:43 pm »
I should've mentioned this in the prior post; Trade-Ideas alerts are always triggered by a print from the time sales.
So if we say "Limit -.10" the bot will take the alert price and add .10 - So if stock XYZs alert was triggered with a print
of $50, a bid would be submitted in the amount of 50.10.

Now, if the inside market was BID 50.00 X 50.05 OFFER, our 50.10 bid would cross the offer and we would more than likely
be filled at $50.05.

Another scenario is that the spread widens rather quickly and we aren't filled immediately, but have a bid out that may get
hit with any pull backs.

This method is more aggressive than placing bids at alert prices but a little less aggressive than market orders.

I hope this helps.

W!CK


radhi258

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Re: Slippage expectancy in automated strategy
« Reply #5 on: August 27, 2014, 10:56:39 am »
That was really helpful and easy to understand. Is there any way that trading bot place a limit on exit time at last price (not exit on market, or taget price)?  For low average volume stocks the spread will be wide when are are selling and we will have loss when we are selling at market price. What is the best scenario to sell by using the bot?

Thank you.
« Last Edit: August 27, 2014, 11:09:27 am by radhi258 »